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Book Categories |
| Chronological List of Commentaries | ||
| Preface | ||
| Introduction | 1 | |
| Ch. 1 | CMO Structures | 13 |
| Understanding the Deal Structure: Balloon CMOs | 15 | |
| Whole Loan CMO Cash-Flow Allocations | 19 | |
| Evaluating VADMs | 24 | |
| Non-Sequential PAC Structures | 28 | |
| Hierarchy of PACs (I): Support and Be Supported | 32 | |
| Hierarchy of PACs (II): Vector Analysis | 36 | |
| Ch. 2 | CMO Tranche Types and Valuation | 43 |
| Sequentials: The Recent Varieties | 45 | |
| Stability of Subordinate PACs | 50 | |
| Evaluating TACs from Current Coupon Collateral | 53 | |
| Are All Scheduled Bonds Alike? | 56 | |
| Component Scheduled Floaters: How Much Risk? | 61 | |
| Super Floaters: Valuing the Components | 67 | |
| Understanding the Components of Inverse Floaters | 72 | |
| Inverse Floater-IOs: Funding Cost Risk versus Prepayment Protection | 76 | |
| IOs: Risk of Prepayment Spike | 81 | |
| Identifying Value in PAC IOs | 85 | |
| PAC POs: Hedge or Hindrance? | 88 | |
| Multi-Level Risk in Re-REMICs | 91 | |
| Ch. 3 | Prepayment Analysis | 99 |
| Prepayments: Using Vectors versus Long-Term Averages | 101 | |
| How to Use PSAs - Don't! The PSA Model Distorts MBS Analysis | 105 | |
| PSA Aging Curve: Effect on PAC IOs | 110 | |
| Prepayment Volatility and Vector Analysis | 114 | |
| Using Vectors to Identify Value in Broken PACs | 118 | |
| Ch. 4 | Value Analysis | 125 |
| 1993 Outlook for Quantitative Analysis | 127 | |
| Prepayment Vectors and Forward Rates | 132 | |
| Perils of Mispricing Payers on the Steep Yield Curve | 137 | |
| Valuing PACs Using the Treasury Equivalent Yield | 141 | |
| Riding Down the Yield Curve with PACs | 145 | |
| Valuing IOs in the Forward Market | 150 | |
| Ch. 5 | Risk Analysis | 157 |
| The Effect of a Flatter Curve on CMOs | 159 | |
| Option Cost under a Steep Yield Curve | 164 | |
| PAC Valuation: Risk-Allocation Approach | 168 | |
| Investments in Scenarios - Primitive Profiles | 174 | |
| A Measure of Prepayment Risk: Prepayment Duration | 180 | |
| FFIEC Tests: What Is a Risky CMO? | 184 | |
| Flow Uncertainty Index (FLUX): A Measure of CMO Cash-Flow Volatility | 190 | |
| Ch. 6 | Relative Value Analysis | 199 |
| Evaluating Long Sequentials versus Collateral | 201 | |
| Performance of PACs versus Sequentials | 205 | |
| Extension Risk of PACs: Are Fifteen-Year Backed Bonds Better? | 210 | |
| PACs without Companions | 214 | |
| Assessing Value in POs | 218 | |
| Comparing Strip IO and PAC IO Values | 222 | |
| Whole Loan CMOs | 226 | |
| Ch. 7 | Portfolio Strategies | 233 |
| PACs That Fit Portfolio Needs: Using Key Rate Durations | 235 | |
| Sequentials under a Flattening Yield Curve: Using Key Rate Durations | 241 | |
| Expected Cash-Flow Swap - Primitive Profile Approach | 247 | |
| Using Short Premium CMOs in Portfolios | 251 | |
| Duration of a Z Tranche | 255 | |
| Blended Trade Using IOs and Z Bonds | 258 | |
| Hedging IOs | 264 | |
| Glossary | 269 |
| Price | Condition | Delivery | Seller | Action |
| $99.99 | Digital |
| WonderClub |
Kevin Paquette
reviewed Collateralized Mortgage Obligations: Analysis, Valuation and Portfolio Strategy on June 28, 2019
Collateralized Mortgage Obligations
This is the second book I always recommend for traders ( first one is Reminiscences of a stock operator ) This book is about market Profile/ Auction market theory. Mind you market Profile concept is totally different, if you used to analyses chart in traditional way ( read linear ) then it may unsettle you a bit. So be prepare for some unlearning as well ( stock market must be the only field where unlearning is more important than learning :p )If you are absolute beginner then congrats! you will save 2 years of your precious learning curve.
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Add Collateralized Mortgage Obligations: Analysis, Valuation and Portfolio Strategy, Authors and leading financial innovators Andrew S. Davidson,Thomas S. Y. Ho and Yung C. Lim provide tools to analyze a wide variety of CMO structures and discuss how to build a portfolio of CMOs that matches an investor's risk/reward profile. Most importa, Collateralized Mortgage Obligations: Analysis, Valuation and Portfolio Strategy to the inventory that you are selling on WonderClubX
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Add Collateralized Mortgage Obligations: Analysis, Valuation and Portfolio Strategy, Authors and leading financial innovators Andrew S. Davidson,Thomas S. Y. Ho and Yung C. Lim provide tools to analyze a wide variety of CMO structures and discuss how to build a portfolio of CMOs that matches an investor's risk/reward profile. Most importa, Collateralized Mortgage Obligations: Analysis, Valuation and Portfolio Strategy to your collection on WonderClub |